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Using Average Internal Rates of Return for Investment Performance Measurement and Attribution

Magni, Carlo Alberto - 2016

In this note we make use of theAverage Internal Rate of Return (AIRR) approach, first introduced in Magni (2010), to introduce a pair of metrics, opposed to IRR and TWRR, which measure the manager's performance and the investor's performance on the basis of the market values of the fund. We also...

Persistent link: https://www.econbiz.de/10012978556

Pseudo-Naive Approaches to Investment Performance Measurement

Magni, Carlo Alberto - 2018

This paper applies Magni's (2011) Aggregate Return On Investment (AROI)to investment performance measurement. We show that the ratio of undiscountednet cash flow to undiscounted invested capital is not a naive metric (itseemingly does not take the time value of money into account). It is a...

Persistent link: https://www.econbiz.de/10012937598

Arithmetic Returns for Investment Performance Measurement

Magni, Carlo Alberto - 2014

This paper introduces new money-weighted metrics for investment performance analysis, based on arithmetic means of holding period rates weighted by the investment's market values. This approach generates rates of return which measure a fund's or portfolio's performance and a fund manager's...

Persistent link: https://www.econbiz.de/10013065991

Aggregate Return on Investment for Investments under Uncertainty

Magni, Carlo Alberto - 2017

which, compared with the risk-adjusted cost of capital, correctly signals wealth creation. For choosing between two mutually … exclusive projects, we derive an incremental AROI and an incremental risk-adjusted cost of capital, by means of which two … unequal-risk projects can be correctly compared. Iterating the incremental procedure, we show that the AROI approach correctly …

Persistent link: https://www.econbiz.de/10012973932

CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007

This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn from this model: the disequilibrium Net Present Value, the equilibrium Net Present Value, the disequilibrium Net Future Value, the equilibrium Net Future Value. While all of...

Persistent link: https://www.econbiz.de/10005055505

Average Rate of Return With Uncertainty

Guerra, Maria Letizia; Magni, Carlo Alberto; Stefanini, … - 2021

In this paper we introduce uncertainty in the investment appraisal, managed through a new criterion called Average Internal Rate of Return (AIRR), introduced in Magni (2010). The consistency of the arithmetic of variables represented with intervals or fuzzy numbers makes it possible to apply the...

Persistent link: https://www.econbiz.de/10013238021

Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007

This paper focuses on inconsistencies arising from the use of NPV and CAPM for capital budgeting. It shows that (i) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing Model, (ii) the use of the disequilibrium NPV is widespread...

Persistent link: https://www.econbiz.de/10005836868

Project selection and equivalent CAPM-based investment criteria

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007

riskadjusted cost of capital, where the latter is given by the sum of the risk-free rate and a risk-premium which is a function of … the systematic risk of the project, itself a function of the project cost. …

Persistent link: https://www.econbiz.de/10005837332

A fuzzy expert system for solving real-option decision processes

Magni, Carlo Alberto - MASTER CONSULTORES - 2009

This paper presents a new approach to real options. The current options-based models have provided new insights into capital-budgeting decisions. Unfortunately they are not widely used by corporate managers and practitioners as they are formally complex, rather difficult to understand and rest...

Persistent link: https://www.econbiz.de/10010762931

The AIRR Approach for Investment Performance Measurement

Magni, Carlo Alberto - MASTER CONSULTORES - 2012

This paper introduces a new method of investment performance analysis, based on the recent approach of Average Internal Rate of Return (AIRR). We show that the approach generates rates of return suitable for assessing both a fund´s (portfolio´s) performance and a manager´s performance. The...

Persistent link: https://www.econbiz.de/10010762942

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